Please use this identifier to cite or link to this item:
Title: A note on generalizing the concept of cointegration
Authors: Hall, Stephen G.
Swamy, P.A.V.B.
Tavlas, George S.
First Published: 30-Jul-2014
Publisher: Cambridge University Press (CUP)
Citation: Macroeconomic Dynamics, 2014, DOI: 10.1017/S1365100513000928
Abstract: Building on the time-varying-coefficient (TVC) model, we propose a generalization of the concept of cointegration, allowing for the possibility that a set of variables measured with error entails a nonlinear relationship with unknown functional form. Both the dependent and explanatory variables of this relationship may be nonstationary (not necessarily of unit-root type), but there exists a nonlinear combination of all these explanatory variables that completely explains all the variation in the dependent variable. The TVC model allows us to test for the presence of this generalized cointegration in the absence of knowledge of the true nonlinear functional form and the full set of explanatory variables. We present the basic stages of the technique and discuss in detail how the issues of nonstationarity and cointegration affect each stage of the TVC estimation procedure.
DOI Link: 10.1017/S1365100513000928
ISSN: 1365-1005
eISSN: 1469-8056
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2014, Cambridge University Press (CUP). Deposited with reference to the publisher’s archiving policy available on the SHERPA/RoMEO website.
Appears in Collections:Published Articles, Dept. of Economics

Files in This Item:
File Description SizeFormat 
generalized cointegration upload.pdfPost-review (final submitted)693 kBAdobe PDFView/Open

Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.